A Fully Integrated Liquidity and Market Risk Model

バージョン 1.0.0.0 (394 KB) 作成者: Attilio Meucci
Conditional convolution algorithm to blend market risk and liquidity risk

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更新 2013/8/29

ライセンスの表示

To walk through the code and for a thorough description, refer to A. Meucci - A Fully Integrated Liquidity and Market Risk Model, Financial Analyst Journal, 68, 6, 35-47 (2012).
Latest version of article and code available at http://symmys.com/node/350

引用

Attilio Meucci (2022). A Fully Integrated Liquidity and Market Risk Model (https://www.mathworks.com/matlabcentral/fileexchange/43243-a-fully-integrated-liquidity-and-market-risk-model), MATLAB Central File Exchange. 取得済み .

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Meucci - A Fully Integrated Liquidity and Market Risk Model/